Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0411
Annualized Std Dev 0.2145
Annualized Sharpe (Rf=0%) 0.1916

Row

Daily Return Statistics

Close
Observations 3309.0000
NAs 1.0000
Minimum -0.1112
Quartile 1 -0.0059
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0069
Maximum 0.1538
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0135
Skewness 0.2065
Kurtosis 12.8308

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0097
Loss Deviation 0.0103
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.4368
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0322
Modified VaR (95%) -0.0177
Modified ES (95%) -0.0177
From Trough To Depth Length To Trough Recovery
2008-05-19 2008-10-10 2013-04-19 -0.4368 1228 102 1126
2018-01-29 2020-03-16 NA -0.4085 792 536 NA
2013-05-09 2013-06-06 2013-10-18 -0.1545 114 20 94
2015-08-11 2016-02-11 2016-04-19 -0.1467 174 128 46
2008-01-04 2008-01-22 2008-05-15 -0.1350 84 6 78

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA -1.4 -1.4
2008 -0.3 0.8 1.4 0.6 1 -0.7 -1.3 0.9 -0.3 1 -4.5 -1 -2.5
2009 -0.3 0.5 3.3 -0.4 1.2 1.6 0.5 -2.1 -2 -1 3 -0.5 3.8
2010 -0.2 0.8 1.3 -0.9 0.4 -0.2 -0.8 1.9 -0.2 -0.7 1.3 0.7 3.4
2011 2.2 -0.8 -1.1 0.1 -0.6 0.1 -0.4 -1.7 -2.4 -1.2 -2.1 1.5 -6.2
2012 1.3 -0.1 0.6 0.2 -2.9 2.1 0.3 0.1 -0.2 1 -0.9 0.7 2.1
2013 0.2 0.8 -5.1 -0.1 -1.2 0.9 2.4 -2.1 -0.7 -1.3 0.1 -0.2 -6.4
2014 -2.2 0.7 0.8 1.6 0.1 1.2 0.9 0 -1.2 4.1 0.6 -0.7 5.9
2015 -0.7 0 -0.8 0.4 0.9 1.5 0.6 -4.3 0 -0.6 1.1 -0.7 -2.7
2016 0 2 -2.2 -0.5 0.3 0.3 -0.6 0.6 -0.2 -0.2 -1 0.3 -1.1
2017 0.8 0.6 -1 0.5 1 0.3 0.3 0 0.4 0.4 -0.7 0.4 3
2018 0.9 -2.6 1.9 -0.3 0.6 -0.1 0.6 0.3 0.6 0.8 0.5 -0.3 2.9
2019 -0.3 0.4 1.4 -0.4 -0.8 1.8 -0.5 0.8 -0.5 1 -0.9 0.6 2.4
2020 -1.6 -1 -4.8 -0.9 1.2 -0.8 -2.8 0.1 0 -1 2.3 0.4 -8.8
2021 0.7 1.6 1.3 NA NA NA NA NA NA NA NA NA 3.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart